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Congratulations to聽Guillaume Roussellet,聽Assistant Professor in Finance,聽awarded 2019 FRQSC New Academics Grant (Soutien 脿 la recherche pour la rel猫ve professorale) 鈥淔acteurs de volatilit茅 et valorisation du VIX鈥�

This FRQSC funded research project will investigate the improvement of stock volatility modeling and forecasting through the use of asset prices. Specifically, the project will focus on (i) how to efficiently incorporate variance swap data into aggregated S&P500 volatility estimation; (ii) extending the methodology to individual stock volatility and correlation forecast; and (iii) extending the set of asset prices to higher order moments swaps like skewness and kurtosis.